Covariance stationary processes

[mikes]

Mr Lambert.
Your videos have completely reversed my view on stats and econometrics. I have switched from confusion and disdain of the course to understanding and ALMOST enjoying it.

Thank you.

[TheExceptionalState]

Thanks Ben. You have an amazing talent in making difficult concepts clear! Your work has been my go-to source during my Masters!

[ledorhassani]

Very well explained. Would recommend this channel to any student studying econometrics

[miloventimiglia]

Hi Ben. I' m so grateful I've found your videos. It has helped me a lot on being more critical towards all machine learning approaches on time series. You're extremely gifted. Continue the excellent work!

[xiaolinwang]

Thank you for the great explanations. They really help a lot!

[superfreakmusic]

Once again this is explained way better then anywhere else!!

[axggcr]

Awesome explain! Very nice to understand the covarince stationary in graphically.

[emilyzhu]

Really really helpful! Thank you so much! The graphs are great demonstrations.

[nortongartino]

great videos, man! keep up! these videos helped me a lot.

[chengpatrickm]

This was amazingly helpful !!! Thank uYou so much!

[farahpangestuty]

Very good video. Really miss your new videos

[janiceliu]

so can two variables with different covariances but both covariance stationary (like those two in the top right figure) form a linear regression model?

[lazypunk]

Isnt Xt+h one particular value and Xt another value.. So what does it mean when you say covariance between these two values?

[achwww]

what if yt and xy BOTH sharing the same covariance structure like the one on the bottom left? Does it satisfy the assumption?

[Yu-ryts]

Hi Ben, after watching your video, I am still confused with the meaning of con(x(t), x(t-1)). What's the meaning behind the covariance between the value of X at two consecutive times? That confuses me a lot. Could you please make an example and explain to me? I am taking the FRM exam and I really want to make sure I understand the topic deeply. Thanks!

[yoshimondal]

what about the graph in the top right, will that give a spurious relation? each timesies independantly has a constant covariance

[bilalata]

Great informative video! How do we know if a process is covariance-stationary? Is there any formal way of testing if a time series is covariance-stationary or not? Like a dickey-fuller test

[iamtheman]

i'm super confused about the whole difference between Xt and Yt. what's the difference? Why use Xt instead of Yt?